American Institute of Mathematical Sciences

Advanced
April  2006, 2(2): 165-175. doi: 10.3934/jimo.2006.2.165

Upper bounds for ruin probabilities in an autoregressive risk model with a Markov chain interest rate

Lin Xu 1, and  Rongming Wang 1,

1. 

Department of Statistics, East China Normal University, Shanghai 200062, P.R., China, China

Received  November 2005 Revised  January 2006 Published  April 2006

In this paper, ruin probabilities are examined in a discrete time risk model in which the interest rates follow a Markov chain with a denumerable state space and the net losses(the claim amount minus the premium income) are assumed to have a dependent AR(1) structure. An upper bound for ultimate ruin probability is obtained by martingale approach. Recursive equations for both finite time ruin probabilities and ultimate ruin probability are derived. By integrating the inductive method and the recursive equation, an upper bound is given for both finite time ruin probabilities and ultimate ruin probability.
Keywords: Markov chain, ruin probability, interest rates, discrete time risk model., martingale method, autoregressive.
Mathematics Subject Classification: 60K05, 62P05, 90A4.
Citation: Lin Xu, Rongming Wang. Upper bounds for ruin probabilities in an autoregressive risk model with a Markov chain interest rate. Journal of Industrial & Management Optimization, 2006, 2 (2) : 165-175. doi: 10.3934/jimo.2006.2.165
[1]

Emilija Bernackaitė, Jonas Šiaulys. The finite-time ruin probability for an inhomogeneous renewal risk model. Journal of Industrial & Management Optimization, 2017, 13 (1) : 207-222. doi: 10.3934/jimo.2016012
[2]

Qingwu Gao, Zhongquan Huang, Houcai Shen, Juan Zheng. Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims. Journal of Industrial & Management Optimization, 2016, 12 (1) : 31-43. doi: 10.3934/jimo.2016.12.31
[3]

Yinghui Dong, Guojing Wang. Ruin probability for renewal risk model with negative risk sums. Journal of Industrial & Management Optimization, 2006, 2 (2) : 229-236. doi: 10.3934/jimo.2006.2.229
[4]

Baoyin Xun, Kam C. Yuen, Kaiyong Wang. The finite-time ruin probability of a risk model with a general counting process and stochastic return. Journal of Industrial & Management Optimization, 2021  doi: 10.3934/jimo.2021032
[5]

Yuebao Wang, Qingwu Gao, Kaiyong Wang, Xijun Liu. Random time ruin probability for the renewal risk model with heavy-tailed claims. Journal of Industrial & Management Optimization, 2009, 5 (4) : 719-736. doi: 10.3934/jimo.2009.5.719
[6]

Rongfei Liu, Dingcheng Wang, Jiangyan Peng. Infinite-time ruin probability of a renewal risk model with exponential Levy process investment and dependent claims and inter-arrival times. Journal of Industrial & Management Optimization, 2017, 13 (2) : 995-1007. doi: 10.3934/jimo.2016058
[7]

Srdjan Stojanovic. Interest rates risk-premium and shape of the yield curve. Discrete & Continuous Dynamical Systems - B, 2016, 21 (5) : 1603-1615. doi: 10.3934/dcdsb.2016013
[8]

Xi Zhu, Meixia Li, Chunfa Li. Consensus in discrete-time multi-agent systems with uncertain topologies and random delays governed by a Markov chain. Discrete & Continuous Dynamical Systems - B, 2020, 25 (12) : 4535-4551. doi: 10.3934/dcdsb.2020111
[9]

Weiwei Wang, Ping Chen. A mean-reverting currency model with floating interest rates in uncertain environment. Journal of Industrial & Management Optimization, 2019, 15 (4) : 1921-1936. doi: 10.3934/jimo.2018129
[10]

Michael C. Fu, Bingqing Li, Rongwen Wu, Tianqi Zhang. Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model. Frontiers of Mathematical Finance, , () : -. doi: 10.3934/fmf.2021005
[11]

Angelica Pachon, Federico Polito, Costantino Ricciuti. On discrete-time semi-Markov processes. Discrete & Continuous Dynamical Systems - B, 2021, 26 (3) : 1499-1529. doi: 10.3934/dcdsb.2020170
[12]

Samuel N. Cohen. Uncertainty and filtering of hidden Markov models in discrete time. Probability, Uncertainty and Quantitative Risk, 2020, 5 (0) : 4-. doi: 10.1186/s41546-020-00046-x
[13]

Huai-Nian Zhu, Cheng-Ke Zhang, Zhuo Jin. Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks. Journal of Industrial & Management Optimization, 2020, 16 (2) : 813-834. doi: 10.3934/jimo.2018180
[14]

Yinghua Dong, Yuebao Wang. Uniform estimates for ruin probabilities in the renewal risk model with upper-tail independent claims and premiums. Journal of Industrial & Management Optimization, 2011, 7 (4) : 849-874. doi: 10.3934/jimo.2011.7.849
[15]

Yun Kang. Permanence of a general discrete-time two-species-interaction model with nonlinear per-capita growth rates. Discrete & Continuous Dynamical Systems - B, 2013, 18 (8) : 2123-2142. doi: 10.3934/dcdsb.2013.18.2123
[16]

Qiuli Liu, Xiaolong Zou. A risk minimization problem for finite horizon semi-Markov decision processes with loss rates. Journal of Dynamics & Games, 2018, 5 (2) : 143-163. doi: 10.3934/jdg.2018009
[17]

Thorsten Hüls. Numerical computation of dichotomy rates and projectors in discrete time. Discrete & Continuous Dynamical Systems - B, 2009, 12 (1) : 109-131. doi: 10.3934/dcdsb.2009.12.109
[18]

Kun Fan, Yang Shen, Tak Kuen Siu, Rongming Wang. On a Markov chain approximation method for option pricing with regime switching. Journal of Industrial & Management Optimization, 2016, 12 (2) : 529-541. doi: 10.3934/jimo.2016.12.529
[19]

Yayun Zheng, Xu Sun. Governing equations for Probability densities of stochastic differential equations with discrete time delays. Discrete & Continuous Dynamical Systems - B, 2017, 22 (9) : 3615-3628. doi: 10.3934/dcdsb.2017182
[20]

Piotr Oprocha. Chain recurrence in multidimensional time discrete dynamical systems. Discrete & Continuous Dynamical Systems, 2008, 20 (4) : 1039-1056. doi: 10.3934/dcds.2008.20.1039

2020 Impact Factor: 1.801

Tools

Metrics

  • PDF downloads (57)
  • HTML views (0)
  • Cited by (5)

Other articles
by authors

[Back to Top]

Copyright © 2021 American Institute of Mathematical Sciences